An econometric analysis of some models for constructed binary time series

Harding, D; Pagan, AR

An econometric analysis of some models for constructed binary time series

Harding, D Pagan, AR

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Publisher:: American Statistical Association
Publication Type:: Journal Article
Citation:: Journal of Business & Economic Statistics, 2011, 29 (1), pp. 86 - 95
Issue Date:: 2011-01

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Field	Value	Language
dc.contributor.author	Harding, D	en_US
dc.contributor.author	Pagan, AR	en_US
dc.date.issued	2011-01	en_US
dc.identifier.citation	Journal of Business & Economic Statistics, 2011, 29 (1), pp. 86 - 95	en_US
dc.identifier.issn	0735-0015	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13910
dc.description.abstract	Macroeconometric and financial researchers often use binary data constructed in a way that creates serial dependence. We show that this dependence can be allowed for if the binary states are treated as Markov processes. In addition, the methods of construction ensure that certain sequences are never observed in the constructed data. Together these features make it difficult to utilize static and dynamic Probit models. We develop modeling methods that respect the Markov-process nature of constructed binary data and explicitly deals with censoring constraints. An application is provided that investigates the relation between the business cycle and the yield spread.	en_US
dc.publisher	American Statistical Association	en_US
dc.relation.ispartof	Journal of Business & Economic Statistics	en_US
dc.relation.isbasedon	10.1198/jbes.2009.08005	en_US
dc.subject.classification	Econometrics	en_US
dc.title	An econometric analysis of some models for constructed binary time series	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	29	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	14 Economics	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	29	en_US

Abstract:

Macroeconometric and financial researchers often use binary data constructed in a way that creates serial dependence. We show that this dependence can be allowed for if the binary states are treated as Markov processes. In addition, the methods of construction ensure that certain sequences are never observed in the constructed data. Together these features make it difficult to utilize static and dynamic Probit models. We develop modeling methods that respect the Markov-process nature of constructed binary data and explicitly deals with censoring constraints. An application is provided that investigates the relation between the business cycle and the yield spread.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/13910